Aftermarket Performance of IPOs in Scandinavia: With Emphasis on Sustainability

Abstract

This thesis investigates the aftermarket performance of 141 Initial Public Offerings (IPOs) listed on the main stock exchanges in Scandinavia over the period of 2010 to the end of 2019. The performance of these IPOs is measured against the benchmark MSCI Nordic Countries IMI. Additionally, the sample is divided into high-green and low-green IPOs in order to compare their performance. The event time approach is used to measure abnormal performance through both Buy-and-Hold Abnormal Returns (BHAR) and Cumulative Abnormal Returns (CAR). The skewnessadjusted t-test is applied to both BHAR and CAR to adjust for positive skewness observed in the Value-weighted BHAR and CAR measure. The study focuses on different determinants categorized as company-, industry-, and IPO characteristics, and identifies determinants for both the sixmonth and three-year IPO performance using OLS regressions. The results indicate that the whole sample of IPOs outperformed the benchmark for both the sixmonth and three-year performance, leading to a positive return for all BHAR and CAR measures. Furthermore, low-green IPOs outperformed high-green IPOs in the long-term EW-CAR performance, while high-green IPOs outperformed low-green IPOs in the long-term VW-BHAR performance. In the short-term analysis, the high-green companies outperformed the low-green companies in terms of both performance measures. However, the short-term measures experienced less significant results compared to the long-term measures, indicating stronger evidence of IPO outperformance in Scandinavia for the long-term. The determinant analysis focuses on the Value-Weighted BHAR three-year performance, and significant results are obtained for Total offer proceeds and Sweden. To adjust the model for outliers, we applied a robust regression for the same dependent variable, which showed additional significant variables, including firm size, Venture Capital, Utilities, and Norway. Overall, the findings of this thesis provide valuable insights into the IPO market in Scandinavia and highlight important determinants that impact IPO performance. The results suggest that investors can expect a positive return from investing in IPOs in the long-term and that green IPOs may outperform non-green IPOs, dependent on the measuring scheme.